A stock price is currently $25. The risk-free interest rate is APR 2% with continuous compounding. You know that thesix-monthEuropean call option price with the same strike price of 24 using two-step binomial option pricing is $1.570. What is the value of asix-monthEuropeanput?

a)Less than $0.5.

b)Larger than $0.5 but less than $0.7.

c)Larger than $0.7 but less than 1.0

d)Larger than 1.0 but less than 1.5.

e)Larger than $1.5